Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 3
Score -0.22 -0.6 -0.57
Market Cap (Millions USD) 89.03 89.22 87.81
Predicted Beta 0.85 0.85 0.85
Idiosyncratic Volatility 1.41 1.32 2.21

Annualized return and volatility

DGT
Annualized Return 0.0252
Annualized Std Dev 0.1881
Annualized Sharpe (Rf=0%) 0.1341

Row

Daily Return Statistics

DGT
Observations 4919.0000
NAs 194.0000
Minimum -0.0870
Quartile 1 -0.0046
Median 0.0002
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0054
Maximum 0.0775
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0001
Stdev 0.0118
Skewness -0.2491
Kurtosis 6.2902

Downside Risk

DGT
Semi Deviation 0.0086
Gain Deviation 0.0085
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.5536
Historical VaR (95%) -0.0186
Historical ES (95%) -0.0292
Modified VaR (95%) -0.0186
Modified ES (95%) -0.0329
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2014-04-01 -0.5536 1643 348 1295
2000-10-05 2002-10-09 2007-01-24 -0.4630 1609 511 1098
2015-05-19 2016-02-11 2016-12-08 -0.2139 400 189 211
2018-01-30 2018-12-24 2019-11-25 -0.1940 467 232 235
2014-07-25 2014-10-16 2015-04-15 -0.0934 187 60 127

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec DGT
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA 2.6 1.8 0.0 4.4
2001 0.4 0.0 0.0 0.4 0.7 0.0 0.1 0.0 -0.3 0.0 0.0 0.0 1.3
2002 0.0 1.8 -1.2 0.6 0.0 -1.2 -1.4 0.0 -0.4 0.0 0.0 0.0 -2.0
2003 0.0 0.0 1.0 -0.4 0.0 0.0 -1.1 0.0 2.3 0.0 1.3 0.0 3.0
2004 0.0 0.7 0.6 0.0 -0.6 -0.7 0.0 0.2 1.4 -0.2 1.0 0.0 2.3
2005 0.2 0.1 -0.6 0.0 -0.7 -0.3 0.1 1.0 0.0 -0.5 1.1 0.0 0.5
2006 0.3 0.5 0.0 -0.3 0.9 0.0 -0.6 0.4 0.0 -0.1 -0.5 0.0 0.6
2007 0.5 -3.0 0.0 0.1 0.1 0.0 0.4 0.0 0.9 -2.5 0.0 0.0 -3.5
2008 1.7 0.0 3.4 1.3 0.0 -0.4 -1.5 0.0 -0.4 0.0 -4.8 0.0 -0.9
2009 0.0 0.0 1.2 1.0 2.9 0.9 0.0 -1.8 -2.4 0.0 1.7 0.0 3.4
2010 1.4 0.3 0.6 0.0 -0.7 0.1 0.0 2.9 0.8 -0.5 2.1 0.0 7.2
2011 2.1 -0.9 0.6 0.0 -1.3 1.4 -1.1 -0.6 0.0 -2.8 -0.6 0.0 -3.2
2012 1.7 0.7 0.0 0.5 -2.3 0.0 -0.1 0.0 0.6 1.4 0.0 0.0 2.6
2013 0.9 -0.4 -0.7 -1.0 0.0 1.0 1.5 0.0 0.8 -0.3 0.0 0.0 1.8
2014 0.0 0.0 1.1 0.6 0.0 0.7 -0.8 0.0 -1.6 0.0 -1.1 0.0 -1.2
2015 0.0 0.0 -0.6 0.3 0.6 0.1 0.0 -2.8 0.0 0.0 0.8 0.0 -1.7
2016 1.2 1.8 -0.2 0.0 -0.2 1.4 0.0 0.3 0.0 -1.0 -0.7 0.0 2.7
2017 0.3 1.3 0.0 -0.1 0.4 0.0 0.9 0.0 0.0 0.6 -0.5 0.0 2.9
2018 0.6 -1.5 0.0 0.0 0.7 0.0 0.0 0.0 0.4 0.5 0.0 0.0 0.6
2019 -0.1 0.3 1.5 -0.6 0.0 0.7 -0.7 0.0 -1.1 1.1 0.0 -0.1 1.0

Row

Rolling Performance Chart

Snail Trail Chart